How can investors construct highly accurate transfer ranking models? Daniel Poh, Dphil Student at the Oxford-Man Institute of Quantitative Finance shares his research findings.
How can investors construct highly accurate transfer ranking models? Daniel Poh, Dphil Student at the Oxford-Man Institute of Quantitative Finance shares his research findings.
March 2023
Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity
Daniel Poh, Stephen Roberts, Stefan Zohren
Cross-sectional strategies are popular trading style in modern finance, with recent high-performing variants incorporating sophisticated neural architectures. While these strategies have been applied successfully to data-rich settings involving mature assets with long histories, deploying them on instruments with limited samples generally produce over-fitted models with degraded performance. In this paper, we introduce Fused Encoder Networks -- a novel and hybrid parameter-sharing transfer ranking model.
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